If it's your computer or network YOU should know if you have a firewall or not. Why the hell would you want to remove it? Unless you are going to replace it with another one?
Windows XP (after service pack 2) has a security centre, located in the Control Panel.
Double click on Security Centre and it tells you if you have a firewall running, anti virus running, and if automatic updates for Microsoft patches is on.
Only remove the firewall if you plan to replace it with another. If you are on broadband you leave yourself open to attack without a firewall.
Go into start - connect to - show all connections. open that. find the icon that you are connected to and right click to open and go down to properties. Go into advanced and there you will see the windows firewall. Assuming you are running XP then you do have a windows firewall but the windows one is pretty crass and many use the free Zone Alarm. There are other firewalls to be had (Comodo is another) but if you are thinking about securing your computer then the windows built in firewall is not much good. If you downloaded (say) zone alarm to the desktop - where you can easily find it - then install it and run the program. Once its up and running then go into the windows firewall, I have said above how to find it, and click settings and disable it. You cannot have two firewalls running as they conflict with each other. I hope this helps.